Second order bias of quasi-MLE for covariance structure models

DOI10.1016/J.ECONLET.2011.10.009MaRDI QIDQ435788zbMATH OpenOpenAlexFDO

Authors Artem Prokhorov

Publication date 12 July 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.10.009

zbMATH Keywords

(Q)MLEEL

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Recommendations

• On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
• BIAS in linear regression models with unknown covariance matrix
• Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
• Publication:4935440
• Second-order biases of maximum likelihood estimates in overdispersed generalized linear models

Cites work

• A general method for analysis of covariance structures
• Asymptotically distribution‐free methods for the analysis of covariance structures
• Handbook of econometrics. Volume 2
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
• The second-order bias and mean squared error of nonlinear estimators

Cited in

(3)

• On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
• The second-order bias of quantile estimators
• SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES

This page was built for publication: Second order bias of quasi-MLE for covariance structure models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q435788)